Theme: ETFs, Indexing and Market Impact |
Venue: Hotel Karel V, Utrecht, The Netherlands
Papers
Passive Investing and Market Efficiency
Key-note Dimitri Vayanos (London School of Economics)
Shifting from Active to Passive: How Retirement Plans Impact Equity Prices
Riccardo Sabbatucci* (Stockholm School of Economics), Andrea Tamoni (University of Notre Dame) and Song Xiao (The Chinese University of Hong Kong)
The Unintended Consequences of Rebalancing
Campbell R. Harvey* (Duke University), Alessandro Melone (Ohio State University) and Michele G. Mazzoleni (Capital Group)
ETFs, Mutual Funds, and Investor Flows
Keynote: Laura Starks (Texas at Austin)
The Impact of Active Managers on the Pricing of Underlying Assets in ETFs
Ziwei Zhao* (University of Lausanne) and Charles Trzcinka (Indiana University)
Cross-ETF Arbitrage
Adam Reed* (University of North Carolina), Brian J. Henderson (George Washington University) and Spencer Andrews (Office of Financial Research)
Bond Valuation Dispersion and ETF Creation
Russell Wermers* (University of Maryland), Alan Guoming Huang, University of Waterloo, Jinming Xue and Xing (Alex) Zhou (Southern Methodist University)
Passive Demand and Active Supply: Evidence from Maturity-mandated Corporate Bond Funds
Tiange Ye* (USC Marshall School of Business), Lorenzo Bretscher (University of Lausanne) and Lukas Schmid (USC Marshall School of Business)
Does Active Fund Management Add Value to Shortsale-Constrained Investors?
Raman Uppal* (EDHEC Business School), Victor DeMiguel (London Business School) and Alberto Martin-Utrera (Iowa State University)